With the Yahoo! Media Player all you have to do is make links to mp3 URLs and add one line of javascript on the page to make it all work. Here are the instructions.
Examples
Below are music from the album Increase the Dosage by Revolution Void released for the free under this license:
Invisible Walls
Factum par Fictio
Habitual Ritual
Effects of Elevation
The Modern Divide
Double the Daily Dose
Weekend Amnesia
Some other links if those above are not working:
"Repulsion" by Quasi"The Gun" by Sparrow and the Workshop
"Let the Record Go" by The Mynabirds
http://filekeeper.org/download/shared/07.mp3